Exchange Rate Exposure and Firm Dynamics

• 成果类型: Article
• 署名作者: Salomao, Juliana; Varela, Liliana
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of London; London School Economics & Political Science
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdab032
• 发表日期: 2022
• 页码: 481-514
• 关键词: foreign-currency; financial constraints; term structure; PRODUCTIVITY; RISK; IMPACT; LIBERALIZATION; reallocation; INVESTMENT; INNOVATION

摘要

This article develops a heterogeneous firm-dynamics model to jointly study firms' currency debt composition and investment choices. In our model, foreign currency borrowing arises from a dynamic trade-off between exposure to currency risk and growth. The model endogenously generates selection of productive firms into foreign currency borrowing. Among them, firms with high marginal product of capital use foreign loans more intensively. We assess econometrically the model's predicted pattern of foreign currency borrowing using firm-level census data from the deregulation of these loans in Hungary, calibrate the model, and quantify the aggregate impact of this financing. Our counterfactual exercises show that understanding the characteristics of firms borrowing in foreign currency is critical to assess the aggregate consequences of this financing.